Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0272
Annualized Std Dev 0.1753
Annualized Sharpe (Rf=0%) -0.1552

Row

Daily Return Statistics

Close
Observations 3575.0000
NAs 1.0000
Minimum -0.0861
Quartile 1 -0.0053
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0056
Maximum 0.0797
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0110
Skewness -0.1341
Kurtosis 6.4957

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0079
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.6938
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0262
Modified VaR (95%) -0.0172
Modified ES (95%) -0.0285
From Trough To Depth Length To Trough Recovery
2008-02-27 2020-06-26 NA -0.6938 3290 3106 NA
2007-02-23 2007-05-10 2007-06-15 -0.1011 79 54 25
2007-06-19 2007-08-16 2007-09-20 -0.0906 66 42 24
2008-01-18 2008-01-23 2008-02-04 -0.0856 11 3 8
2007-09-28 2007-10-08 2007-11-06 -0.0725 28 7 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.4 -1.3 -3.4 1.6 0.2 0.3 -1.1 -0.9 -0.5 -0.9 -0.5 0 -6.8
2008 0.7 -1.7 0.7 -1.8 -0.1 1.5 -1.6 -0.5 -0.7 -1 -3.7 2.9 -5.3
2009 -0.7 -1 -0.9 3.2 3.5 1.1 1.5 -2 -1.7 -1.9 0.5 0.4 1.8
2010 -0.2 -1.2 0.8 0.8 -0.2 0.8 1.8 1.2 -3 -0.8 2.2 1.6 3.7
2011 0.6 -1 0.3 1.1 -1.3 1.3 0.9 -1.1 -3.4 0 -0.3 0.4 -2.7
2012 0.3 0.8 1.8 0.4 -1.1 1.7 0.2 0 0.1 0.2 -0.8 -0.4 3.2
2013 -0.6 -0.5 -0.2 -0.6 0 -0.4 -0.9 -0.2 -0.2 -0.6 0.4 -0.5 -4.1
2014 1.1 0.8 -0.5 -0.5 -1 -0.5 -0.7 0.2 0.3 -0.2 1.2 -0.8 -0.6
2015 -0.3 0.5 1.2 -1.2 0.8 -0.3 -0.6 -1.1 -0.4 0.7 1.4 0.1 0.8
2016 0.5 -0.3 -0.5 1 0.7 -0.4 -0.2 0 -0.8 -0.9 -1.1 0.1 -2
2017 1 1.3 0.4 1.4 -0.1 2.5 -1.4 -0.2 0.7 0 -0.1 0.2 5.7
2018 0.9 1.5 0.6 1.2 -0.4 1.5 -0.5 1.2 0.8 1.2 0 -0.2 8.2
2019 0.1 0.1 0.9 0.1 -0.8 -0.1 -1.2 -0.1 0.1 0.8 0.4 0.2 0.4
2020 -0.6 -0.7 -3.1 0.3 0.1 1.3 1.6 0.5 -0.6 0.1 -1.1 1 -1.4
2021 0.4 -0.6 -0.1 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart